To test OCSP you need three things: The issuer certificate, the certificate you’d like to check and the path to the OCSP. All this information seems to be slightly redundant, as the certificate itself already contains the information about the OCSP URL and most of the time also the path to the issuer certificate. It would be very nice if openssl would read all this information from the certificate itself, nevertheless you need this three things to do some basic checks.
Get the required information from the AIA and download the issuer certificate:

Then you URL encode that file – you might use some free online decoder like http://meyerweb.com/eric/tools/dencoder/ – but here you have to remove the line breaks in advance. Or you do it directly at the shell

Why all this effort, when openssl might do this on it’s own?
Just because openssl won’t work too well in an envrionment where a proxy is required.
The –proxy option seems only to work starting with version openssl 1.1